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DBLP
Article . 2016
Data sources: DBLP
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An alternative algorithm for regularization of noisy volatility calibration in Finance

Authors: Medarhri Ibtissam; Rajae Aboulaich; Debit Naima;

An alternative algorithm for regularization of noisy volatility calibration in Finance

Abstract

This contribution is an extension of the work initiated in [1], presenting a strategy for the calibration of the local volatility. Due to Morozov's discrepancy principle [6], the Tikhonov regularization problem introduced in [7] is understood as an inequality-constrained minimization problem. An Uzawa procedure is proposed to replace this latter by a sequence of unconstrained problems dealt with in the modified Thikonov regularization procedure in [1]. Numerical tests confirm the consistency of the approach and the significant speed-up of the process of local volatility determination. Cette contribution dans ce papier est une extension des travaux initiés dans [1], qui pré-sente une stratégie pour l'estimation de la volatilité locale. En raison du principe de la différence de Morozov [6], le problème de la régularisation de Tikhonov introduite dans [7] est reformulé comme un problème de minimisation de l'inégalité des contraintes. Une procédure Uzawa est proposé de remplacer ce dernier par une séquence de problèmes non contraints traités dans la procédure de régularisation Thikonov modifié dans [1]. Des tests numériques confirment la cohérence de l'approche et l'importante accélérer le processus de détermination de la volatilité locale.

Country
France
Keywords

Lagrangian Relaxation, Tikhonov regularization, Inverse Problems, Uzawa method, [MATH]Mathematics [math], Morozov's principle, Local Volatility calibration

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
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